基于ARIMA模型的供應鏈突變風險測度

摘 要：本文利用系統動力學和ARIMA干預分析法，提出了一種新的供應鏈突變風險的測度方法。以包含一個制造商和一個零售商的二級供應鏈為研究對象，并在假設制造商與零售商之間的運輸發生突變的基礎上，根據對供應鏈系統反饋結構的分析結果，構建了供應鏈系統的動態仿真模型。然后，選取總庫存、需求短缺量和總利潤為供應鏈績效指標，根據對仿真結果的描述性統計分析了運輸突變風險對供應鏈績效的影響。進一步，構建了供應鏈績效指標的時間序列ARIMA模型，并利用干預分析法研究了測度運輸突變風險的方法。研究表明，運輸突變風險使得供應鏈的總庫存平均每周期增加12.44%，需求短缺量平均每周期增加15.49%，而總利潤平均每周期降低172.41%。

關鍵詞：供應鏈管理；系統動力學；ARIMA模型；突變風險

中圖分類號：F253.4 文獻標識碼：A 文章編號：1003-5192(2012)02-0050-07

Measurement of Supply Chain Disruption Risks Based on ARIMA Model

MA Zhi-qiang1， CHEN Jing-xian2， SHI Guo-hong1

(1.School of Management， Jiangsu University， Zhenjiang 212013， China; 2.School of Business， Nantong University， Nantong 226019， China )

Abstract:Combined system dynamics and ARIMA-intervention-analysis method， this paper developed a new approach to measure supply chain disruption risks. We investigated a two-echelon supply chain system that consists of a manufacturer and a retailer where the transportation between two firms may be disrupted. We propose a system dynamic model to depict the supply chain system’s behavior under transportation risk. Then， we obtain the descriptive statistics’ results of supply chain performance(total inventories， total profits and backorders)based on the simulation data that output by Venple. Moreover， we developed the ARIMA models of supply chain performance series， and used intervention analysis approach to study the method that measures the transportation disruption risk. Our results show that the transportation risk between manufacturer and retailer make total inventories and backorders of the supply chain increase 12.44% and 15.49% per period， respectively. However， total profits of the supply chain decrease 172.41% per period.

Key words:supply chain management; system dynamics; ARIMA model; disruption risks

1 引言

突變管理（Disruption Management）是由丹麥學者Clausen等人于2001年首次提出［1］，也有國內學者將突變管理稱為干擾管理［2］或中斷管理［3］。供應鏈管理作為運作管理的重要研究領域，供應鏈突變風險管理也受到了相應的重視，目前的研究側重于應對供應鏈突變風險的相關策略研究，如：Qi等學者研究了兩級供應鏈生產成本突變時的供應鏈協調機制［4］；Xu等人則研究了當生產成本發生突變時的二重供應鏈的協調問題，設計了新的供應鏈協調機制來應對突變風險［5］；Xiao和Qi研究了當制造商生產成本突變后的基于全單位數量折扣和增量式數量折扣的供應鏈協調契約［6］；……